CCER讨论稿:Evaluating the Accrual Anomaly in the Chinese Stock Market with the Decomposition Method

发布日期:2018-06-04 11:11:28    来源:北京大学国家发展研究院

E2018015                                                             2018-06-04

Evaluating the Accrual Anomaly in the Chinese Stock Market with the Decomposition Method

Zhuo Huang,  Dawei Lin,  Zhimin Qiu

 

ABSTRACT

We evaluate the explanations for accrual anomaly in the Chinese stock market using the decomposition method of Hou and Loh (2016). The results show that investor attention best explains the accrual anomaly with an explanatory power of about 50%, equity growth (EG) explains 10% of the anomaly, and the residual fraction of around 35% is unexplained by any candidate explanations. Our findings indicate that the inefficient market framework is favored to explain the accrual anomaly in China, and the current indicators cannot fully explain the anomaly.

JEL Codes: G12; G14; M41

Keywords: Accruals; Anomalies; Asset pricing; Investor attention; Market efficiency

讨论稿下载E2018015